https://github.com/MalteKurz/VineCopulaMatlab
Tip revision: 4677b6880f6c47546b8bd592bcf64c73fa02f7ad authored by Malte Kurz on 26 October 2016, 12:15:55 UTC
Minor update of the references
Minor update of the references
Tip revision: 4677b68
PairCopulaPDF.m
function p = PairCopulaPDF(family,u1,u2,varargin)
%PAIRCOPULAPDF Computing the p.d.f. of a pair-copula
% Purpose
% The function computes the value of the copula density at (u1,u2),
% which has to lie in the 2-dimensional unit cube. Possible
% pair-copula families:
% 0 Indep
% 1 AMH
% 2 AsymFGM
% 3 BB1
% 4 BB6
% 5 BB7
% 6 BB8
% 7 Clayton
% 8 FGM
% 9 Frank
% 10 Gaussian
% 11 Gumbel
% 12 IteratedFGM
% 13 Joe
% 14 PartialFrank
% 15 Plackett
% 16 Tawn1
% 17 Tawn2
% 18 Tawn
% 19 t
%
%
% Usage
% p = PairCopulaPDF(family,u1,u2,theta)
% Rotated pair-copulas
% p = PairCopulaPDF(family,u1,u2,theta,rotation)
%
%
% Inputs
% family = The copula family.
% u1 = A (n x 1) dimensional vector of values lying in [0,1].
% u2 = A (n x 1) dimensional vector of values lying in [0,1].
% theta = The parameter vector for the pair-copula.
% rotation = The degree of rotation, i.e., either 90, 180 or 270. No
% rotation is achieved by letting the rotation argument
% empty or by choosing 0 rotation.
%
%
% Outputs
% p = n dimensional vector of values of the copula density
% evaluated at (u1,u2).
%
%
%
% Author: Malte Kurz
% Checking the dimensions
if not(size(u1,2) == 1 && size(u2,2) == 1)
error('The u1 and u2 vector have to be of dimension n x 1.')
end
if not(size(u1,1) == size(u2,1))
error('The number of observations (rows) of the vectors u1 and u2 have to be equal.')
end
% Check the (Copula-)data input.
CheckData([u1,u2])
if not(isnumeric(family))
families = {'Indep','AMH','AsymFGM','BB1','BB6','BB7','BB8','Clayton','FGM','Frank','Gaussian','Gumbel','IteratedFGM','Joe','PartialFrank','Plackett','Tawn1','Tawn2','Tawn','t'};
if sum(strcmpi(family,families))
family = find(strcmp(family,families))-1;
else
error(['The copula family ' family ' is not implemented'])
end
end
% Check the copula parameters.
CheckParameters(family,varargin{1})
if family == 0
p = VineCopulaMatlab(9,0,u1,u2);
elseif nargin == 5 && not(isempty(varargin{2}))
if not(isnumeric(varargin{2}))
Rotations = {'r90','r180','r270'};
varargin{2} = find(strcmp(varargin{2},Rotations)).*90;
end
p = VineCopulaMatlab(9,family,u1,u2,varargin{1},varargin{2});
else
p = VineCopulaMatlab(9,family,u1,u2,varargin{1});
end
end